Hu’s 25-year emerging CTA

Albert Hu’s commodity trading advisor (CTA), Cauldron Investment Co., only became registered in July 2012 but his Stock Index Plus program has been in development for more than a quarter-century.

Hu, who has operated several CTAs over the years, earned degrees in mathematics from Cheng-Kung University in Taiwan in 1970 and from Santa Clara in 1973. He worked as an engineer for eight years but was really interested in trading stocks.

“I traded so often the commission I paid was more than the salary I earned as an engineer,” Hu says.” I thought, ‘Why not become a stock broker?’”

So he took a job at Paine Webber and then became a trader on the floor of the New York Futures Exchange. “I wasn’t a good floor trader. Floor trading required different skills [than what I had],” Hu says. So he went back to trading stocks while working as an account executive for Merrill Lynch and Prudential Bache in the mid-1980s. He was not a salesman, however, and by 1987 was ready to go pro. He launched CTA ALH Capital Management, which traded his proprietary trend reversal strategy.

The strategy only produced short signals in the emerging S&P 500 stock index and by the time the historic bull market of the last part of the 20th century gained momentum, there were no short signals to be had. “The signals just didn’t appear anymore,” Hu says. “I was just sitting there; I had to develop something else.”

By 1992 Hu began researching other approaches. He discovered trend-following and developed a systematic trend-following program that excelled in trading currency futures.

He launched a new CTA, ALH Capital Corp., in 1993. The trend-following currency program had a good run but began to run out of gas in 2005 after several single digit return years. “Something happened; the system [was] no longer working, so I quit,” Hu says. “So I started a fund of funds. In 2006 I began writing options after investing in several options writing systems.”

About the Author

Editor-in-Chief of Futures Magazine, Daniel Collins is a 25-year veteran of the futures industry having worked on the trading floors of both the Chicago Board of Trade and Chicago Mercantile Exchange. Dan joined Futures in 2001 and in 2005 he was promoted to Managing Editor, responsible for overseeing all the content that went into Futures and futuresmag.com. Dan’s incisive reporting and no-holds barred commentary places him among the most recognized national media figures covering futures, derivative trading and alternative investments.